The regime-switching risk premium in the gold futures market
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/s12197-014-9308-0.pdf
Reference38 articles.
1. Barone-Adesi G, Geman H, Theal J (2010) On the lease rate, convenience yield and speculative effects in the gold futures market. Swiss Finance Institute Research Paper
2. Baur DG, Lucey BM (2010) Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financ Rev 45(2):217–229
3. Baur DG, McDermott TK (2010) Is gold a safe haven? International evidence. J Bank Financ 34(8):1886–1898
4. Blose LE (2010) Gold price, cost of carry, and expected inflation. J Econ Bus 62(1):35–47
5. Brooks C, Prokopczuk M, Wu Y (2013) Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage. The Quarterly Review of Economics and Finance 53(1):73–85
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